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Yes, one-day international cricket ‘in-play’ trading strategies can be profitable!

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  • Norton, Hugh
  • Gray, Steve
  • Faff, Robert

Abstract

In this study, we employ a Monte Carlo simulation technique for estimating the conditional probability of victory at any stage in the first or second innings of a one-day international (ODI) cricket match. This model is then used to test market efficiency in the Betfair ‘in-play’ market for large sample of ODI matches. We find strong evidence of overreaction in the first innings. A trading strategy of betting on the batting team after the fall of a wicket produces a significant profit of 20%. We also find some evidence of underreaction in the second innings although it is less economically and statistically significant than the first innings overreaction. We also implement trades when the discrepancy between the probability of victory implied by current market odds differs substantially from the odds estimated by our Monte Carlo simulation model. We document a number of trading strategies that yield large statistically significant positive returns in both the first and second innings.

Suggested Citation

  • Norton, Hugh & Gray, Steve & Faff, Robert, 2015. "Yes, one-day international cricket ‘in-play’ trading strategies can be profitable!," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 164-176.
    • Handle: RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s164-s176
    DOI: 10.1016/j.jbankfin.2015.08.031
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    Cited by:

    1. Durand, Robert B. & Patterson, Fernando M. & Shank, Corey A., 2021. "Behavioral biases in the NFL gambling market: Overreaction to news and the recency bias," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    2. Andrés Barge-Gil & Alfredo Garcia-Hiernaux, 2020. "Staking in Sports Betting Under Unknown Probabilities: Practical Guide for Profitable Bettors," Journal of Sports Economics, , vol. 21(6), pages 593-609, August.
    3. Marius Ötting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2023. "Gambling on Momentum in Contests," Economics Discussion Papers em-dp2023-08, Department of Economics, University of Reading.

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    More about this item

    Keywords

    In-play betting markets; Trading strategies; ODI cricket; Web-scraping; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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